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FINRA-ICE Data Services Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/ABS/CDO Daily CMBS Weekly CMBS
Pricing Table: Agency Pass-Thru (Specified) - Single Family 15Y
METRIC COUPON
<= 2 2.5 3 3.5 4 4.5 > 4.5
UMBS
AVERAGE PRICE 91.4 94.9 96.2 98.4 100.8 102.0 105.2
Weighted Avg. Price 92.2 95.5 97.2 99.3 100.7 101.9 106.3
Avg. Price Bottom 5 Trades 87.6 93.1 93.2 96.2 100.1 100.6 104.4
2nd Quartile Price 91.4 94.6 96.6 98.5 100.4 101.7 105.4
3rd Quartile Price 92.3 94.7 96.7 98.5 100.9 102.4 106.8
4th Quartile Price 92.5 95.7 97.3 98.7 101.3 102.5 107.3
Avg. Price Top 5 Trades 93.4 97.5 98.1 100.0 101.6 102.6 106.4
Standard Deviation 2.1 1.4 2.2 1.0 0.6 0.9 2.2
     VOLUME OF TRADES (000'S) 13,280.8 35,765.2 35,055.4 42,404.0 81,938.5 24,136.8 376.9
     NUMBER OF TRADES 30 50 34 100 23 19 7
FNMA
AVERAGE PRICE * * 98.4 98.1 0.0 * 0.0
Weighted Avg. Price * * 98.4 98.4 0.0 * 0.0
Avg. Price Bottom 5 Trades * * 97.0 97.5 0.0 * 0.0
2nd Quartile Price * * 96.7 97.4 0.0 * 0.0
3rd Quartile Price * * 99.1 98.9 0.0 * 0.0
4th Quartile Price * * 99.8 99.1 0.0 * 0.0
Avg. Price Top 5 Trades * * 99.6 98.8 0.0 * 0.0
Standard Deviation * * 1.4 1.1 0.0 * 0.0
     VOLUME OF TRADES (000'S) * * 37,511.3 13,329.7 0.0 * 0.0
     NUMBER OF TRADES * * 12 8 0 * 0
FHLMC
AVERAGE PRICE 0.0 0.0 96.0 98.1 * * 0.0
Weighted Avg. Price 0.0 0.0 96.5 94.4 * * 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 96.0 97.8 * * 0.0
2nd Quartile Price 0.0 0.0 * 98.3 * * 0.0
3rd Quartile Price 0.0 0.0 * 98.5 * * 0.0
4th Quartile Price 0.0 0.0 * 98.5 * * 0.0
Avg. Price Top 5 Trades 0.0 0.0 96.0 98.8 * * 0.0
Standard Deviation 0.0 0.0 0.9 1.4 * * 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 21.0 20,061.9 * * 0.0
     NUMBER OF TRADES 0 0 7 18 * * 0
GNMA
AVERAGE PRICE 0.0 * * * * 0.0 109.6
Weighted Avg. Price 0.0 * * * * 0.0 111.1
Avg. Price Bottom 5 Trades 0.0 * * * * 0.0 109.6
2nd Quartile Price 0.0 * * * * 0.0 *
3rd Quartile Price 0.0 * * * * 0.0 *
4th Quartile Price 0.0 * * * * 0.0 *
Avg. Price Top 5 Trades 0.0 * * * * 0.0 109.6
Standard Deviation 0.0 * * * * 0.0 4.8
     VOLUME OF TRADES (000'S) 0.0 * * * * 0.0 360.2
     NUMBER OF TRADES 0 * * * * 0 6
Pricing Table: Agency Pass-Thru (Specified) - Single Family 30Y
METRIC COUPON
<= 2 2.5 3 3.5 4 4.5 > 4.5
UMBS
AVERAGE PRICE 85.9 88.8 91.5 94.6 97.3 100.1 102.2
Weighted Avg. Price 85.9 89.2 92.3 95.6 98.1 100.3 102.2
Avg. Price Bottom 5 Trades 82.4 86.0 85.3 84.3 86.8 96.5 99.2
2nd Quartile Price 85.4 88.6 91.4 94.7 97.0 99.8 101.5
3rd Quartile Price 86.1 88.8 91.9 95.3 97.6 99.8 102.1
4th Quartile Price 86.9 89.1 91.9 95.4 98.5 100.3 103.4
Avg. Price Top 5 Trades 88.7 91.2 94.5 97.3 102.9 102.5 105.9
Standard Deviation 1.2 0.8 1.5 2.3 2.7 1.0 1.7
     VOLUME OF TRADES (000'S) 1,483,523.4 1,401,044.6 882,068.3 1,255,761.3 1,566,452.5 829,161.0 647,982.4
     NUMBER OF TRADES 179 306 316 402 397 492 139
FNMA
AVERAGE PRICE * * 91.1 * * 100.5 98.7
Weighted Avg. Price * * 91.5 * * 99.8 101.6
Avg. Price Bottom 5 Trades * * 91.1 * * 99.7 96.1
2nd Quartile Price * * * * * 99.9 95.0
3rd Quartile Price * * * * * 100.9 102.1
4th Quartile Price * * * * * 101.7 103.8
Avg. Price Top 5 Trades * * 91.1 * * 101.2 103.1
Standard Deviation * * 2.2 * * 1.0 5.3
     VOLUME OF TRADES (000'S) * * 17,898.1 * * 29,322.0 20,498.5
     NUMBER OF TRADES * * 5 * * 10 11
FHLMC
AVERAGE PRICE 0.0 0.0 91.6 95.5 97.1 101.0 100.4
Weighted Avg. Price 0.0 0.0 91.7 97.0 100.3 101.6 102.4
Avg. Price Bottom 5 Trades 0.0 0.0 90.4 93.0 93.5 97.9 100.1
2nd Quartile Price 0.0 0.0 91.3 95.2 97.8 101.8 100.0
3rd Quartile Price 0.0 0.0 91.9 95.3 97.8 101.8 102.5
4th Quartile Price 0.0 0.0 91.9 96.6 97.8 101.8 102.5
Avg. Price Top 5 Trades 0.0 0.0 92.0 96.7 98.9 101.8 101.7
Standard Deviation 0.0 0.0 0.7 1.2 1.9 1.7 3.8
     VOLUME OF TRADES (000'S) 0.0 0.0 160.5 2,646.4 17,565.6 221.9 201.7
     NUMBER OF TRADES 0 0 45 84 65 29 21
GNMA
AVERAGE PRICE 88.0 90.2 92.3 96.3 98.8 100.8 104.1
Weighted Avg. Price 87.9 90.3 93.1 95.0 98.2 101.4 105.8
Avg. Price Bottom 5 Trades 87.5 89.9 90.0 93.8 97.3 99.4 89.9
2nd Quartile Price 87.8 90.2 92.0 95.5 98.0 101.1 101.6
3rd Quartile Price 87.9 90.3 93.1 96.5 99.1 101.4 104.2
4th Quartile Price 88.2 90.7 93.5 97.4 99.7 101.6 106.8
Avg. Price Top 5 Trades 88.5 90.8 94.0 98.8 101.1 102.1 115.8
Standard Deviation 0.6 0.8 1.6 1.6 1.6 1.6 5.4
     VOLUME OF TRADES (000'S) 154,300.2 109,443.6 68,966.7 66,144.3 98,519.5 80,833.7 8,021.6
     NUMBER OF TRADES 17 31 40 55 29 19 207
Pricing Table: Agency Pass-Thru (Specified) - Adjustable/Hybrid
METRIC INITIAL FIXED RATE PERIOD
ARM/SEASONED 3/1 5/1 7/1 10/1
FNMA
AVERAGE PRICE 0.0 0.0 * * *
Weighted Avg. Price 0.0 0.0 * * *
Avg. Price Bottom 5 Trades 0.0 0.0 * * *
2nd Quartile Price 0.0 0.0 * * *
3rd Quartile Price 0.0 0.0 * * *
4th Quartile Price 0.0 0.0 * * *
Avg. Price Top 5 Trades 0.0 0.0 * * *
Standard Deviation 0.0 0.0 * * *
     VOLUME OF TRADES (000'S) 0.0 0.0 * * *
     NUMBER OF TRADES 0 0 * * *
FHLMC
AVERAGE PRICE 101.0 0.0 0.0 101.2 100.5
Weighted Avg. Price 101.2 0.0 0.0 102.4 99.9
Avg. Price Bottom 5 Trades 101.0 0.0 0.0 101.2 98.3
2nd Quartile Price * 0.0 0.0 * 99.3
3rd Quartile Price * 0.0 0.0 * 100.6
4th Quartile Price * 0.0 0.0 * 102.2
Avg. Price Top 5 Trades 101.0 0.0 0.0 101.2 102.9
Standard Deviation 0.4 0.0 0.0 1.7 1.6
     VOLUME OF TRADES (000'S) 986.2 0.0 0.0 5,065.2 14,623.2
     NUMBER OF TRADES 7 0 0 5 32
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0
* Indicates trade count is less than 5

The pricing tables for Agency TBA and Agency Specified Pass-thrus do not contain certain transaction volume related items after December 14th, 2011.

Data updated with current day's trades at approximately 8PM New York time

Effective June 1st, 2015 ABS Listor Fixed Offering Price and Takedown Transactions (as defined in FINRA Rule 6710), as well as CMO transactions in securities newly added to the system on the report day will be excluded from inclusion in the FINRA-ICE Data daily Securitized Product Report and Pricing Tables. Previously created reports will not be adjusted for the change.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email tracedataservices@finra.org.

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